J.P. Morgan launches first U.S. Collateralized Loan Obligation Index

New York — J.P. Morgan introduced today the J.P. Morgan CLO Index (CLOIE), a new collateralized loan obligation (CLO) index. As the first US CLO index of its kind, CLOIE offers total returns and analytics based on observable pricings of a representative pool of bonds following a stated methodology, and is published daily.

CLOIE tracks floating-rate CLO securities in 2004–present vintages. Additional subindices are divided by ratings AAA through BB, and further divided between pre- and post-crisis vintages. CLO 2.0, or post-crisis vintages, consists of deals issued in 2010 and later. CLOIE utilizes a market-value weighted methodology and will be another member of the widely used J.P. Morgan benchmark suite. J.P. Morgan clients and investors can access index levels and statistics for the CLOIE at jpmorganmarkets.com.

Pricing for the index is provided by PricingDirect Inc., a valuation vendor and affiliate of JPMorgan Chase Bank. Details of PricingDirect product coverage and methodology are available at pricing-direct.com.

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